Well, you are the first one reporting that DATETIME types in MSSQL support microseconds - so far the reason for why HeidiSQL does not show that :)

As newer MySQL and MariaDB releases also support microseconds, and HeidiSQL also supports that as reported, it should not be too hard to extend that to relevant MSSQL versions. Since which MSSQL release are microseconds supported?

I need miliseconds, not microseconds.
Anyway....
MSSQL 2000 and 2005 supported datetime with accuracy of one three-hundredth of a second (equivalent to 3.33 milliseconds or 0.00333 seconds). Values are rounded to increments of .000, .003, or .007 seconds
MSSQL 2008 have new data types including DATETIME2 (YYYY-MM-DD hh:mm:ss:nnnnnnnm - is accurate to 100 nanoseconds